Something that may be fairly overlooked, but useful is using the iPhone Remote Application when you don't have access to a wireless network. I love taking my Macbook Pro on the go and have fallen in love with the Remote App, but there's not always a wireless network availiable! A quick and simple fix for this is to create your own secure wireless network using your Mac.

A step by step process would look something like this:

Click on the wireless icon in the menu bar and select Create Network.

Choose a name. If you are around other locked or untrusted wireless signals, you will want to choose an unused channel. (I would say use the two channel rule, but you're not transferring data here.) Make sure you put a password on it!

Open up the Network System Preferences panel. You'll want to create a new location to make it easier for future use, and it's easiest to stick with the default network settings. This step is optional, but if you're on the go, it makes it easy.

Go into the Security System Preferences pane, and make sure your firewall will allow access to iTunes. (Basically anything other than "Allow only essential services.") I have mine set to specific services, and allow incoming connections to iTunes.

Join the wireless network you created with your Mac, and you'll get a self-assigned IP address.

Your Mac is now a wireless router for your own mobile LAN. It's cool to use this in conjunction with Front Row (see this previous hint). If you have a Keynote presentation to give, you can export it as a QuickTime movie to iTunes and play/pause it using your iPhone, which seems to impress people. No matter where you go, you can use the Remote app now!

Thanks for this - I'm someone for whom it certainly did not 'go without saying'. I wanted to add that this is useful for those who are using 1password on Mac and iphone since these sync wirelessly, so this is useful for those without a router.

A question, which will further show my ignorance about networking - would it be possible to use this wireless network to hop on to the computer's ethernet connection? I have an ethernet connection and no wireless router at home, so this would be useful for my iphone (being too stingy to splash out on a router....).

OK, I appear to have answered my own question, so will post it here in case it's useful for anyone.
Yes, it is possible to use an ethernet connected computer as 'router' for wireless connectivity of the iphone. Apologies if this is obvious, it wasn't for me. Hopefully I will explain this clearly...
In System Preferences, under Sharing, enable Internet Sharing, from ethernet to airport. In the Airport settings choose the local network that you have created as per the above hint. If your wireless icon is shown on the menu bar, it should show a nice arrow rather than the usual 'transmitting'(?) signal . Once you have chosen that network (+security) in the iphone, you will be able to use the internet connection of the computer, allowing you to do all the things that may only be done over a wireless connection.
I am using a MacBook Air with Leopard, and it worked for me!